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Semiparametric linear transformation models have received much attention due to their high flexibility in modeling survival data. A useful estimating equation procedure was recently proposed by Chen et al. (2002) [21] for linear transformation models to jointly estimate parametric and...
Persistent link: https://www.econbiz.de/10008488095
In financial practice, it is important to understand the dependence structure between the returns of individual assets and the market index. This is particularly true under extreme situations. Theoretically, this amounts to regressing the dependence relationship against a set of pre-specified...
Persistent link: https://www.econbiz.de/10010681787
G. R. Ducharme and Y. Lepage (1986, J. Roy. Statist. Soc. Ser. B48, 197-205) presented the strong collapsibility of odds ratio in 22K tables. However, the concept is not suitable for an ordinal background variable since it is meaningless to pool nonadjacent levels in this case. In this paper, we...
Persistent link: https://www.econbiz.de/10005006579
One of the most powerful algorithms for maximum likelihood estimation for many incomplete-data problems is the EM algorithm. The restricted EM algorithm for maximum likelihood estimation under linear restrictions on the parameters has been handled by Kim and Taylor (J. Amer. Statist. Assoc. 430...
Persistent link: https://www.econbiz.de/10005160479